Is it better cold? That will depend on you and your preferences entirely. As for how to heat/cool, someone has already done a nice job of answering that here. However, if you're still a little unsure, once you read reviews on it, I think it'll really clear up any confusion. There are some fantastic reviews on the Pure Wand! Highly recommended reads.

It holds temperature pretty well. Obviously it's rather cold pulled right out of the box (or you could chill it more with cold water). And it'll stay cold for a bit. However, when it comes into contact with the body for awhile, it will warm up pretty quickly (and stay warm until you're done playing, obviously).

I have the fun wand and not the pure wand, but the material properties are the same. It feels cool-ish if you haven't warmed it up beforehand but quickly warms to body temperature. Just putting it near the heating vent works, too.